Browsing by Author "Vladimirou, Hercules"
Now showing items 1-20 of 45
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Article
Annals of Operations Research: Preface
Vladimirou, Hercules (2007)
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Article
Annals of Operations Research: Preface
Bertocchi, Marida; Pflug, Georg Ch; Vladimirou, Hercules (2009)
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Article
Applying the progressive hedging algorithm to stochastic generalized networks
Mulvey, John M.; Vladimirou, Hercules (1991)The introduction of uncertainty to mathematical programs greatly increases the size of the resulting optimization problems. Specialized methods that exploit program structures and advances in computer technology promise ...
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Doctoral Thesis
Automated optimum sizing of strength-critical trusses
Vladimirou, Hercules (1985)
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Article
Computational assessment of distributed decomposition methods for stochastic linear programs
Vladimirou, Hercules (1998)Incorporating uncertainty in optimization models gives rise to large, structured mathematical programs. Decomposition procedures are well-suited for parallelization, thus providing a promising venue for solving large ...
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Book Chapter
Controlling Currency Risk with Options or Forwards
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (Springer, 2007)
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Book Chapter
Controlling currency risk with options or forwards
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (Springer International Publishing, 2008)
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Book Chapter
Controlling Currency Risk with Options or Forwards
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (Springer, 2007)
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Book Chapter
Controlling currency risk with options or forwards
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (Springer International Publishing, 2008)
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Article
CVaR models with selective hedging for international asset allocation
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2002)We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions ...
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Article
CVaR models with selective hedging for international asset allocation
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2002)We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions ...
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Article
Developments in combinatorial optimization (ECCO-XX): Guest editorial
Martello, S.; Vladimirou, Hercules (2011)
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Article
A dynamic stochastic programming model for international portfolio management
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2008)We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms of scenario trees that reflect the empirical ...
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Article
A dynamic stochastic programming model for international portfolio management
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2008)We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms of scenario trees that reflect the empirical ...
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Book Chapter
Evaluation of a Parallel Hedging Algorithm for Stochastic Network Programming
Mulvey, John M.; Vladimirou, Hercules (1989)
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Article
Fatigue and freeze-thaw resistance of epoxy mortar
Biswas, Mrinmay; N, Omar Ghattas; Vladimirou, Hercules (1985)Results of tests to investigate resistance of epoxy mortar to fatigue and freeze-thaw exposure are reported. Fatigue resistance is evaluated by number of load reversals sustained against a repeated impactive loading at ...
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Article
Incorporating Derivative Securities in International Portfolios
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2004)
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Article
Incorporating Derivative Securities in International Portfolios
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2004)
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Working Paper Open Access
Integrated dynamic models for hedging international portfolio
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (The Wharton Financial Institutions CenterThe Wharton School, University of Pennsylvania, PA, 2017-12)We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...
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Article
Integrated dynamic models for hedging international portfolio risks
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2020)We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide increasing level of integration in managing market and foreign exchange (FX) risks. ...